Three young children survived, although two suffered wounds.
Mexico's federal Attorney General's Office announced it was taking over the case from local authorities and the FBI announced it was aiding Mexican investigators.
The slayings came amid a surge in bloodshed along Mexico's border with Texas and drew condemnation from the White House. Mexico's president expressed outrage and promised a fast investigation to find those responsible.
Mexican authorities put suspicion on the Aztecas street gang — a group allied with the "La Linea" enforcement arm of the Juarez drug cartel. They said that was based on "information exchanged with U.S. federal agencies."
But the reason for the attacks remained unclear.
All three victims had attended a children's party hosted by another consular employee shortly before the attacks, said the FBI spokeswoman in El Paso, Andrea Simmons.
"There is no information that the victims were specifically targeted" because of their work with the U.S. Consulate, she said, though the investigation is continuing.
Both the American couple and the Mexican man who was killed were traveling in similar vehicles — white sport utility vehicles.
The U.S. consulate in Ciudad Juarez, shut for Monday's Mexican national holiday, also will be closed on Tuesday as "a way for the community to mourn the loss" of the victims, said consulate spokesman Silvio Gonzalez. It was the second U.S. border consulate closed because of violence in the last month. The consular office in Reynosa, across from McAllen, Texas closed for several days in late February because of gun battles in the area.
Several U.S. citizens have been killed in Mexico's drug war, most of them people with family ties to Mexico. It is very rare for American government employees to be targeted, although attackers hurled grenades at the U.S. consulate in the northern city of Monterrey in 2008.
The atmosphere of violence in Juarez had been creeping closer to U.S. offices for some time: on Friday, the consulate put a bar just around the block from its office off limits to U.S. government personnel "due to security concerns."
The State Department authorized U.S. government employees at Ciudad Juarez and five other U.S. consulates in northern Mexico to send family members out of the area because of concerns about rising drug violence. The cities are Tijuana, Nogales, Nuevo Laredo, Monterrey and Matamoros.
The dependents — estimated to be several hundred — will get a 30-day special housing allowance, which could be renewed for additional periods.
U.S. State Department spokesman Fred Lash said the decision was based not only on Saturday's killings but also on a wider pattern of violence and threats in northern Mexico in recent weeks. The State Department noted the U.S. Embassy in Mexico City has advised American citizens to delay unnecessary travel to parts of the Mexican states of Durango, Coahuila and Chihuahua.
The consulate employee and her husband, both U.S. citizens, were killed in their car near the Santa Fe International bridge linking Ciudad Juarez with El Paso, Texas.
The woman was shot in the head, while her husband suffered wounds in his neck and arm. Their baby, who appeared to be about 1 year old, was found unharmed in the back seat, said Vladimir Tuexi, a spokesman for the Chihuahua state prosecutors office.
The pair was identified as consular employee Lesley A. Enriquez, 35, and her husband, Arthur H. Redelfs, 34, by Robert Cason, Redelfs' stepfather. Redelfs was a detention officer at the El Paso County Jail, he said.
Tuexi said the baby was in the custody of Mexican social services.
Officials confirmed that Enriquez was pregnant when she was killed.
According to a work permit granted by the Mexican Senate, Enriquez worked as an assistant in the consulate's visa section.
Ten minutes before that killing, police in another part of the city found the body of the husband of a Mexican employee of the consulate.
Jorge Alberto Salcido Ceniceros, 37, was shot to death in his car, while his two children, ages 4 and 7, were wounded, according to the state prosecutors office. The children were hospitalized.
Salcido Ceniceros may have once worked as an investigative policeman, Ciudad Juarez Mayor Jose Reyes told local media, but he said records were still being checked to confirm that.
Police have been especially targeted in the drug gang violence that has made Ciudad Juarez one of the deadliest cities in the world, with more than 2,500 people killed last year alone.
The three died during a particularly bloody weekend in Mexico, with nearly 50 people killed in apparent gang violence. Nine people were killed in a gang shootout early Sunday in the Pacific resort city of Acapulco, one of Mexico's spring break attractions.
Soldiers arrive to secure and area where the bodies of two men were found in Acapulco, Mexico, Sunday, March 14, 2010. (AP Photo/Bernardino Hernandez)
As if to illustrate the almost military strength of the drug cartels, Mexican marines and Navy personnel announced Monday they had launched a raid against an operations base run by the Zeta drug gang near the northern industrial city of Monterrey.
Marines detected about 60 suspected cartel gunmen at the base; some got into a convoy of vehicles and opened fire on a Marine helicopter following them.
The Marines chased them down, some on foot, and killed eight suspects and seized nine assault rifles.
The office of Mexican President Felipe Calderon's office said he "expresses his indignation" and "his sincerest condolences to the families of the victims" of Saturday's attack.
Calderon "reiterated the Mexican government's unwavering compromise to resolve these grave crimes," his office said.
President Barack Obama was "deeply saddened and outraged" by the killings, the White House said.
"He extends his condolences to the families and condemns these attacks on consular and diplomatic personnel serving at our foreign missions," the statement said. "In concert with Mexican authorities, we will work tirelessly to bring their killers to justice."
Secretary of State Hillary Clinton said "these appalling assaults on members of our own State Department family are, sadly, part of a growing tragedy besetting many communities in Mexico."
"They underscore the imperative of our continued commitment to work closely with the Government of President Calderon to cripple the influence of trafficking organizations at work in Mexico," she added. "This is a responsibility we must shoulder together."
Associated Press writers Alicia Caldwell in El Paso, Philip Elliott in Washington and Terry Wallace in Dallas contributed to this report.